started outlining the optimization algorithm

src/procedures.js

@@ -1,3 +1,18 @@
-export const calculateBestCombinationOfCalendars(){
+/*
+Collect contiguous ranges. These are where the underlying is expected to be at the front-month.
+For each strike in the contiguous ranges, collect all front-month/back-month combinations
+For each of these front-month/back-month combinations, calculate PNL (by %-return) assuming the underlying is at each strike in the contiguous ranges
+For each of these potential underlying close-prices, choose the best front-month/back-month combo.
+For each ...
+*/
 
+export const calculateBestCombinationOfCalendars(){
+  let cheapest = null;
+  front_months.forEach(front_month=>{
+    front_month.ranges.forEach(range=>{
+      range.back_months.forEach(back_month=>{
+        // begin by making a calendar at every available strike in the range.
+        })
+      })
+    })
   }